Related papers: Data-Driven Approximations of Chance Constrained P…
We revisit the sample average approximation (SAA) approach for non-convex stochastic programming. We show that applying the SAA approach to problems with expected value equality constraints does not necessarily result in asymptotic…
We study the scenario approach for solving chance-constrained optimization in time-coupled dynamic environments. Scenario generation methods approximate the true feasible region from scenarios generated independently and identically from…
This article describes a novel approach to chance-constrained programming based on the sample average approximation (SAA) method. Recent work focuses on heuristic approximations to the SAA problem and we introduce a novel approach which…
Sample average approximation (SAA) is a widely popular approach to data-driven decision-making under uncertainty. Under mild assumptions, SAA is both tractable and enjoys strong asymptotic performance guarantees. Similar guarantees,…
Sample-average approximations (SAA) are a practical means of finding approximate solutions of stochastic programming problems involving an extremely large (or infinite) number of scenarios. SAA can also be used to find estimates of a lower…
Chance constrained programming (CCP) refers to a type of optimization problem with uncertain constraints that are satisfied with at least a prescribed probability level. In this work, we study the sample average approximation (SAA) of…
Sample average approximation (SAA) is a tractable approach for dealing with chance constrained programming, a challenging stochastic optimization problem. The constraint of SAA is characterized by the $0/1$ loss function which results in…
Sample average approximation (SAA), a popular method for tractably solving stochastic optimization problems, enjoys strong asymptotic performance guarantees in settings with independent training samples. However, these guarantees are not…
We investigate sample average approximation (SAA) for two-stage stochastic programs without relatively complete recourse, i.e., for problems in which there are first-stage feasible solutions that are not guaranteed to have a feasible…
Sample average approximation (SAA) replaces an intractable expected objective by an empirical average and is a basic device of modern stochastic optimization. We develop a rate theory for optimal values and empirical…
We study optimization for data-driven decision-making when we have observations of the uncertain parameters within the optimization model together with concurrent observations of covariates. Given a new covariate observation, the goal is to…
We derive new and improved non-asymptotic deviation inequalities for the sample average approximation (SAA) of an optimization problem. Our results give strong error probability bounds that are "sub-Gaussian"~even when the randomness of the…
Stochastic approximation (SA) is a method for finding the root of an operator perturbed by noise. There is a rich literature establishing the asymptotic normality of rescaled SA iterates under fairly mild conditions. However, these…
Distributionally robust chance constrained programs minimize a deterministic cost function subject to the satisfaction of one or more safety conditions with high probability, given that the probability distribution of the uncertain problem…
We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider the distributionally robust versions of these problems, where…
A growing number of generative statistical models do not permit the numerical evaluation of their likelihood functions. Approximate Bayesian computation (ABC) has become a popular approach to overcome this issue, in which one simulates…
We study the problem of estimating a sequence of evolving probability distributions from historical data, where the underlying distribution changes over time in a nonstationary and nonparametric manner. To capture gradual changes, we…
We apply the sample average approximation (SAA) method to risk-neutral optimization problems governed by nonlinear partial differential equations (PDEs) with random inputs. We analyze the consistency of the SAA optimal values and SAA…
The Sliced-Wasserstein distance (SW) is being increasingly used in machine learning applications as an alternative to the Wasserstein distance and offers significant computational and statistical benefits. Since it is defined as an…
In the machine learning and optimization community, there are two main approaches for the convex risk minimization problem, namely, the Stochastic Approximation (SA) and the Sample Average Approximation (SAA). In terms of oracle complexity…